5,364 reputation
21040
bio website blog.smaga.ch
location Geneva, Switzerland
age 28
visits member for 3 years, 1 month
seen 3 hours ago

Investment Analyst in an asset allocation firm in Geneva.


Apr
6
revised Does put-call parity hold for a compound option with underlying American option?
retag
Apr
5
revised Are there any well known methods of testing through-the-cycle rating systems?
removed courtesies
Apr
5
comment Financial Mathematics - Martingales example
To understand that you need to know that under the risk-neutral measure, the expected return on an asset price is the risk-free rate $r$, by definition.
Apr
3
answered Financial Mathematics - Martingales example
Apr
3
revised Financial Mathematics - Martingales example
removed courtesies, tagged
Apr
2
comment Is there any thing out there as a substitute for KDB?
How do you compare a database system and two scientific-oriented programming languages?
Apr
2
comment Is there a charting API which allows to replicate Bloomberg chart tool features?
But you can't embed it in your applications.
Apr
2
revised C++ training from scratch to quantitative trading?
deleted 19 characters in body
Apr
1
asked Is there a charting API which allows to replicate Bloomberg chart tool features?
Mar
30
comment If the distribution of returns in symmetric, why not use a coin toss, small risk & high reward?
Returns do not appear to be symmetric.
Mar
29
comment Risk Parity portfolio construction
@nxstock-trader: you should be able to find something on this page. I haven't used R for optimization for a long time. You can ask on Mathematics or Stack Overflow as well.
Mar
28
comment Risk Parity portfolio construction
You can basically run this through fmincon in MATLAB for example. Not sure what you mean by "techniques". Are you looking for a specific optimization algorithm?
Mar
28
reviewed Approve suggested edit on Risk Parity portfolio construction
Mar
28
reviewed Approve suggested edit on How to optimize a portfolio under *both* maximum diversity ratio and minimum variance
Mar
26
answered Creating a financial market
Mar
26
asked How many data points are required to perform a fitting of GPD?
Mar
24
comment What is the impact of high-frequency trading on market depth, liquidity, and volatility?
AS I said in the post, I can't access them anymore... I'll try to see if I've got something in my notes...
Mar
23
answered What is the impact of high-frequency trading on market depth, liquidity, and volatility?
Mar
23
revised Risk Parity portfolio construction
edited tags
Mar
23
comment Risk Parity portfolio construction
@Bootvis: I don't think it's OT. But the formatting could certainly be improved. But the subject is non-trivial.